We consider the use of channel feedback to determine the pilot placement for channel estimation of two-way OFDM relay links. We propose a feedback technique in which the pilot allocation mechanism is adapted to the doubly-selective channels. The reduction in the SNR due to channel estimation error is considered by the criteria of SNR gap ratio, thus, is utilized to design the pilot placement. A suboptimal but efficient algorithm, called the iterative pilot allocation (IPA) scheme, is proposed, where iterative exchanges between old pilot locations and the location of the worst data subcarrier are done. The efficacy of the proposed IPA scheme is demonstrated through numerical simulations.